Fu, Ke-Ang; Li, Yuechao; Ng, Andrew Cheuk-Yin - In: Statistics & Probability Letters 83 (2013) 11, pp. 2553-2562
Consider a nearly nonstationary AR(1) model, Xt=θnXt−1+ut, where θn=1−γ/n, γ is a fixed constant, and the innovations are in the domain of attraction of the normal law with possibly infinite variance. As for the least squares estimator θˆn of θn, we propose to use a residual-based...